Fwu-Ranq Chang (Professor of Economics, Indiana University, Bloomin

Stochastic Optimization in Continuous Time

• Gebundenes Buch

Produktbeschreibung

First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the book is that mathematical concepts are introduced in a language and terminology familiar to graduate students of economics.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 346
• Erscheinungstermin: 23. November 2011
• Englisch
• Abmessung: 235mm x 157mm x 25mm
• Gewicht: 632g
• ISBN-13: 9780521834063
• ISBN-10: 0521834066
• Artikelnr.: 21973839

Inhaltsangabe

List of figures
Preface
1. Probability theory
2. Wiener processes
3. Stochastic calculus
4. Stochastic dynamic programming
5. How to solve it
6. Boundaries and absorbing barriers
Appendix. Miscellaneous applications and exercises
Bibliography
Index.